STATIC AND DYNAMIC PORTFOLIO ALLOCATİON ANALYSIS BASED ON EXCHANGE-TRADED FUNDS

Year 2021, Volume: 39 Issue: 4, 561 - 579, 29.12.2021

Önder Büberkökü

https://doi.org/10.17065/huniibf.845019

Abstract

This study compares the performances of the Markowitz (1952) mean-variance portfolio optimisation method and three alternative portfolio optimisation methods, namely, the conditional value-at-risk method, risk parity method and Kelly criterion, taking the nine Select Sector SPDR ETFs trading in the US stock market into account. All the analyses are performed primarily using the traditional static asset allocation approach that produces a single optimal portfolio for the entire period. Subsequently, we use the dynamic asset allocation approach, which produces different optimal portfolios for each month depending on the timing window of past returns. Sharpe, Calmar, Sortino, Treynor and Information ratios and Jensen’s alpha are used to compare the performances of the optimal portfolios. The findings show that the conditional value-at-risk method is the best performing of the methods examined.

Keywords

Dynamic asset allocation, portfolio optimisation, conditional value-at-risk method, Risk parity method, Kelly criterion, Dynamic asset allocation, portfolio optimisation, conditional value-at-risk method, Risk parity method, Kelly criterion

BORSA YATIRIM FONLARINA DAYALI STATİK VE DİNAMİK PORTFÖY OPTİMİZASYON ANALİZLERİ

Abstract

Bu çalışmada ABD S&P500 endeksinde yer alan ve 9 farklı sektörü esas alan borsa yatırım fonları (Exchange-traded funds, ETFs) dikkate alınarak Markowitz (1952) ortalama-varyans yöntemi ile bu yönteme alternatif teşkil eden koşullu riske maruz değer yöntemi, risk paritesi yöntemi ve Kelly kriterinin portföy optimizasyon performansları statik ve dinamik optimizasyon yaklaşımları kullanılarak karşılaştırılmıştır. Analizler öncelikle incelenen dönem için tek bir optimal portföy üreten statik optimizasyon yaklaşımı ile yapılmıştır. Ardından analizler aylık bazda güncellenen veri setine bağlı olarak her ay için farklı optimal portföyler üreten dinamik optimizasyon yöntemi ile yapılmıştır. Optimal portföylerin performanslarının karşılaştırılmasında Jensen (alfa) kriterinin yanı sıra Sharpe, Calmar, Sortino, Treynor ve Bilgi rasyolarından yararlanılmıştır. Çalışma bulguları açık bir şekilde koşullu riske maruz değer yönteminin en iyi performansı sergileyen yöntem olduğu sonucuna işaret etmektedir.

Keywords

Dinamik portföy optimizasyonu, Koşullu riske maruz değer yöntemi,, Risk paritesi yöntemi, Kelly kriteri

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